Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0079
Annualized Std Dev 0.2690
Annualized Sharpe (Rf=0%) -0.0293

Row

Daily Return Statistics

Close
Observations 3181.0000
NAs 1.0000
Minimum -0.1853
Quartile 1 -0.0057
Median 0.0007
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0063
Maximum 0.1457
SE Mean 0.0003
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0169
Skewness -0.3838
Kurtosis 18.9505

Downside Risk

Close
Semi Deviation 0.0123
Gain Deviation 0.0130
Loss Deviation 0.0144
Downside Deviation (MAR=210%) 0.0165
Downside Deviation (Rf=0%) 0.0122
Downside Deviation (0%) 0.0122
Maximum Drawdown 0.7046
Historical VaR (95%) -0.0226
Historical ES (95%) -0.0414
Modified VaR (95%) -0.0231
Modified ES (95%) -0.0231
From Trough To Depth Length To Trough Recovery
2008-05-19 2009-03-09 2020-02-12 -0.7046 2899 172 2727
2020-02-24 2020-03-23 NA -0.5066 272 21 NA
2020-02-18 2020-02-19 2020-02-21 -0.0131 4 2 2
2008-05-13 2008-05-13 2008-05-14 -0.0018 2 1 1
2008-05-15 2008-05-15 2008-05-16 -0.0010 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA 0.5 -2 -1.1 1.2 -0.7 4.6 -11.1 1.5 -7.6
2009 -3.4 -0.2 3.8 -0.7 4.9 -3 -1.2 -3.2 -3.7 -2.3 5.1 0.5 -3.8
2010 1.5 1.2 0.4 -1.6 -1.9 0.5 0 2.9 1.1 0.7 1.6 0.5 7
2011 1 -1.7 0.6 -0.2 -2.2 1.4 -0.7 -1.4 -1.8 -2.6 -0.4 0.1 -7.6
2012 1.4 0.5 1.5 0.7 -2.3 2.8 0.1 0.8 -0.5 0.6 0.2 0.5 6.3
2013 0.3 0.6 -1.1 -0.3 -1.5 -0.3 0.1 -0.4 1 0.3 -0.4 -0.1 -1.8
2014 -0.5 0.5 0.2 0.1 0.7 0.6 -0.2 0.2 -0.3 2.5 -0.5 -1.2 2
2015 -1.8 0.1 0.3 0.3 -0.1 0.7 1 -2.9 0.3 -0.1 1.6 -1.4 -2.1
2016 1.1 2.8 -0.9 -0.8 -0.3 0.7 -0.1 -0.3 -0.1 -0.8 -1.3 1.2 1.1
2017 -0.7 0.2 0.6 0.3 0.8 0.1 0.8 -0.3 0.6 0.6 -0.1 -0.1 2.8
2018 -1.2 -1.1 0.8 0.7 0.9 0.5 0 0.1 -0.5 0.4 0.4 -0.7 0.2
2019 -0.7 0 0.2 -0.3 0.4 -0.1 -0.7 -0.4 -1 0.5 -0.6 0.9 -1.7
2020 -1.5 -4.2 -8.3 -4.9 2.8 1.6 -1 -1 2.5 -0.9 1.9 0.6 -12.3
2021 1.7 0.8 -1.9 NA NA NA NA NA NA NA NA NA 0.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-05-09  48.6 SPY    139. -0.0019  -0.0184   0.0212   0.0438  -0.0714    0.179    0.502 GLD    87.4  0.0021   0.0336
2 2008-05-12  48.9 SPY    140.  0.0112  -0.0026   0.0531   0.0502  -0.0689    0.205    0.499 GLD    87.0 -0.0049   0.0083
3 2008-05-13  48.8 SPY    140.  0.0001  -0.0111   0.0568   0.0407  -0.0668    0.198    0.481 GLD    85.4 -0.0184  -0.0143
4 2008-05-14  49.5 SPY    141.  0.0021   0.009    0.0565   0.0323  -0.0651    0.214    0.486 GLD    85.2 -0.0022  -0.0072
5 2008-05-15  49.4 SPY    143.  0.0125   0.0242   0.0415   0.0544  -0.0598    0.232    0.508 GLD    87    0.0211  -0.0028
6 2008-05-16  49.8 SPY    143.  0.0009   0.0271   0.0409   0.0556  -0.0571    0.221    0.500 GLD    89.1  0.0241   0.0192
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart